In addition to the other answers, I think part of the "deeper" reason why the "law" $\sqrt{a}\sqrt{b}=\sqrt{ab}$ is that the field of complex numbers is not an ordered field.
Think about it this way: as long as we stick to positive numbers $a$, the two solutions to the equation $x^2=a$ always live in $\mathbb R$, the set of real numbers. $\mathbb R$ is an ordered field: given any two members of $\mathbb R$, you can always say which one comes before and which one comes after the other. This makes it possible to distinguish half of the number line as the "positive ray" and the other half as the "negative ray", which in turn makes it possible to define the symbol $\sqrt{a}$ unambiguously to mean the positive solution to $x^2 = a$, and it is this convention that makes the formula $\sqrt{a}\sqrt{b} = \sqrt{ab}$.
However, the field of complex numbers, $\mathbb C$, is not an ordered field, and in fact there is no meaningful way to make it into one. Given two complex numbers there is no way to say which one is "first" and which one "second"; if you imagine yourself sitting at a point in $\mathbb C$, there is no clear way to say which way is forward and which way is backward. This lack of orientation means that when $a$ is negative, it is impossible to choose which of the two solutions to $x^2 = a$ should be denoted by $\sqrt{a}$, and without being able to unequivocally know which complex number is meant, the expression itself becomes meaningless (or at best ambiguous).
So the reason that $\sqrt{a}\sqrt{b} = \sqrt{ab}$ is not reliable when $a$ is negative is that the symbols themselves, the expressions $\sqrt{a}$ and $\sqrt{b}$, cannot be unambiguously defined, which in turn is because they exist in a field that cannot be given an order relation.